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Chapter and Conference Paper
A Study of Belgian Inflation, Relative Prices and Nominal Rigidities using New Robust Measures of Skewness and Tail Weight
This paper studies the distribution of Belgian consumer price changes and its interaction with aggregate inflation over the period June 1976-September 2000. Given the fat-tailed nature of this distribution, bo...
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Chapter and Conference Paper
A Hotelling Test Based on MCD
Hypothesis tests and confidence intervals based on the classical Hotelling T 2 statistic can be adversely affected by outliers. Therefore, we construct an alternative inference technique based on a ...
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Chapter and Conference Paper
A robust version of principal factor analysis
Our aim is to construct a factor analysis method that can resist the effect of outliers. We start with a highly robust initial covariance estimator, after which the factors can be obtained from maximum likelih...